Likelihood Ratio Processes for Markovian Particle Systems with Killing and Jumps

We consider Markov processes built from pasting together pieces of strong Markov processes which are killed at a position dependent rate and connected via a transition kernel. We give necessary and sufficient conditions for local absolute continuity of probability laws for such processes on a suitable path space and derive an explicit formula for the corresponding likelihood ratio process. The main tool is the consideration of the process between successive jumps – what we call ‘elementary experiments’ – and criteria for absolute continuity of laws of the process there. We apply our results to systems of branching diffusions with interactions and immigrations. This revised version was published online in June 2006 with corrections to the Cover Date.     

Talagrand''''s T_2-transportation Inequality w.r.t.a Uniform Metric for Diffusions

Using the method of Girsanov transformation,we establish the Talagrand's T_2-inequality for dif-fusion on the path space C([0,N],R~d) with respect to a uniform metric,with the constant independent of N.This improves the known results for the L~2-metric.     

A new property of Bernstein-Kantorovi? operators

In the present paper, we prove that the Bernstein-Kantorovič operators have the ability of preserving translation property in both C and L^p norms. Supported (in part) by the NSFC(10471130,10371024) of PRC and the Natural Science Foundation (Y604003) of Zhejiang Province.     

Sufficient Stochastic Maximum Principle for the Optimal Control of Jump Diffusions and Applications to Finance

We give a verification theorem by employing Arrow's generalization of the Mangasarian sufficient condition to a general jump diffusion setting and show the connections of adjoint processes to dynamic programming. The result is applied to financial optimization problems.     

Weighted approximation of functions on the real line by Bernstein polynomials

The authors give error estimates, a Voronovskaya-type relation, strong converse results and saturation for the weighted approximation of functions on the real line with Freud weights by Bernstein-type operators.     

An explicit compact universal space for real flows

The Kakutani–Bebutov Theorem (1968) states that any compact metric real flow whose fixed point set is homeomorphic to a subset of $\mathbb{R}$ embeds into the Bebutov flow, the $\mathbb{R}$-shift on $C(\mathbb{R},[0,1])$. An interesting fact is that this universal space is a function space. However, it is not compact, nor locally compact. We construct an explicit countable product of compact subspaces of the Bebutov flow which is a universal space for all compact metric real flows, with no restriction; namely, into which any compact metric real flow embeds. The result is compared to previously known universal spaces.     

Non parametric estimation of the diffusion coefficients of a diffusion with jumps

In this article, we consider a jump diffusion process ${\left(X_t\right)}_{t\ge 0}$, with drift function $b$, diffusion coefficient $\sigma$ and jump coefficient ${\xi }^2$. This process is observed at discrete times $t=0,\Delta ,\dots ,n\Delta$. The sampling interval $\Delta$ tends to 0 and the time interval $n\Delta$ tends to infinity. We assume that ${\left(X_t\right)}_{t\ge 0}$ is ergodic, strictly stationary and exponentially $\beta$-mixing. We use a penalized least-square approach to compute adaptive estimators of the functions ${\sigma }^2+{\xi }^2$ and ${\sigma }^2$. We provide bounds for the risks of the two estimators.     

Construction of a new family of Bernstein‐Kantorovich operators

In the present paper, we construct a new sequence of Bernstein‐Kantorovich operators depending on a parameter α. The uniform convergence of the operators and rate of convergence in local and global sense in terms of first‐ and second‐order modulus of continuity are studied. Some graphs and numerical results presenting the advantages of our construction are obtained. The last section is devoted to bivariate generalization of Bernstein‐Kantorovich operators and their approximation behaviors.     

On Approximation Properties of Generalized q-Bernstein Operators

In this study, we identify a generalization of q-Bernstein type operators and investigate approximation properties of a sequence of these operators . We estimate rate of approximation by modulus of continuity. We prove Voronovskaya type theorem for these operators.     

Infinite horizon risk-sensitive control of diffusions without any blanket stability assumptions

We consider the infinite horizon risk-sensitive problem for nondegenerate diffusions with a compact action space, and controlled through the drift. We only impose a structural assumption on the running cost function, namely near-monotonicity, and show that there always exists a solution to the risk-sensitive Hamilton–Jacobi–Bellman (HJB) equation, and that any minimizer in the Hamiltonian is optimal in the class of stationary Markov controls. Under the additional hypothesis that the coefficients of the diffusion are bounded, and satisfy a condition that limits (even though it still allows) transient behavior, we show that any minimizer in the Hamiltonian is optimal in the class of all admissible controls. In addition, we present a sufficient condition, under which the solution of the HJB is unique (up to a multiplicative constant), and establish the usual verification result. We also present some new results concerning the multiplicative Poisson equation for elliptic operators in ${\mathbb{R}}^d$.